Advanced Asset Pricing Theory
DOI10.1142/p745zbMath1288.91002MaRDI QIDQ3076621
Publication date: 23 February 2011
Published in: Series in Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/p745
options; stochastic processes; interest rates; Black-Scholes model; contingent claims; risk measures; portfolio management; optimal trading strategy; asset pricing theory; discrete-time modeling; stochastic differential utility; sequential choice; equilibrium asset pricing; continuous-time modeling
91B70: Stochastic models in economics
60J65: Brownian motion
91B16: Utility theory
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
91B50: General equilibrium theory
91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
60G05: Foundations of stochastic processes
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